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dc.contributor.authorCasini, Alessandroen_US
dc.contributor.authorPerron, Pierreen_US
dc.date.accessioned2018-02-06T03:02:00Z
dc.date.accessioned2019-12-18T19:55:19Z
dc.date.available2018-02-06T03:02:00Z
dc.date.available2019-12-18T19:55:19Z
dc.date.issued2019
dc.identifier.citationAlessandro Casini, Pierre Perron. 2019. "Continuous Record Asymptotics for Structural Change Models." Retrieved from: https://arxiv.org/abs/1803.10881
dc.identifier.issn0012-9682
dc.identifier.urihttps://hdl.handle.net/2144/39009
dc.description.abstractFor a partial structural change in a linear regression model with a single break, we develop a continuous record asymptotic framework to build inference methods for the break date. We have T observations with a sampling frequency h over a fixed time horizon [0, N] , and let T with h 0 while keeping the time span N fixed. We impose very mild regularity conditions on an underlying continuous-time model assumed to generate the data. We consider the least-squares estimate of the break date and establish consistency and convergence rate. We provide a limit theory for shrinking magnitudes of shifts and locally increasing variances. The asymptotic distribution corresponds to the location of the extremum of a function of the quadratic variation of the regressors and of a Gaussian centered martingale process over a certain time interval. We can account for the asymmetric informational content provided by the pre- and post-break regimes and show how the location of the break and shift magnitude are key ingredients in shaping the distribution. We consider a feasible version based on plug-in estimates, which provides a very good approximation to the finite sample distribution. We use the concept of Highest Density Region to construct confidence sets. Overall, our method is reliable and delivers accurate coverage probabilities and relatively short average length of the confidence sets. Importantly, it does so irrespective of the size of the break.en_US
dc.relation.replaceshttps://hdl.handle.net/2144/26713
dc.relation.replaces2144/26713
dc.subjectAsymptotic distributionen_US
dc.subjectBreak dateen_US
dc.subjectChange-pointen_US
dc.subjectHighest density regionen_US
dc.subjectSemi-martingaleen_US
dc.subjectEconometricsen_US
dc.subjectEconomic theoryen_US
dc.subjectMarketingen_US
dc.titleContinuous record asymptotics for structural change modelsen_US
dc.typeArticleen_US
dc.description.versionFirst author draften_US
pubs.elements-sourcemanual-entryen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, Administrationen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US
pubs.publication-statusUnpublisheden_US
dc.identifier.mycv297738


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